With the advent of automation in financial markets, the concept of "real-time risk" has gained a lot of attention. Aldridge and Krawciw [28] define real-time risk as the probability of instantaneous or near-instantaneous loss, and can be due to flash crashes, other market crises, malicious activity by selected market participants and other events. A well-cited example [29] of real-time risk was a US $440 million loss incurred within 30 minutes by Knight Capital Group (KCG) on 1 August 2012; the culprit was a poorly-tested runaway algorithm deployed by the firm. Regulators have taken notice of real-time risk as well. Basel III [30] requires real-time risk management framework for bank stability.